Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 2.54 2.24 2.62
Market Cap (Millions USD) 230.44 253.97 261.85
Predicted Beta 0.14 0.14 0.14
Idiosyncratic Volatility 1.86 1.85 1.84

Annualized return and volatility

IXP
Annualized Return 0.0469
Annualized Std Dev 0.1932
Annualized Sharpe (Rf=0%) 0.2429

Row

Daily Return Statistics

IXP
Observations 4629.0000
NAs 484.0000
Minimum -0.0834
Quartile 1 -0.0051
Median 0.0002
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0060
Maximum 0.1358
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0122
Skewness 0.3203
Kurtosis 10.4042

Downside Risk

IXP
Semi Deviation 0.0086
Gain Deviation 0.0090
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5011
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0288
Modified VaR (95%) -0.0161
Modified ES (95%) -0.0161
From Trough To Depth Length To Trough Recovery
2007-10-30 2009-03-09 2013-09-13 -0.5011 1504 350 1154
2002-01-07 2002-09-30 2004-11-26 -0.4532 742 187 555
2018-01-29 2018-12-24 2019-04-29 -0.1988 319 233 86
2015-04-29 2016-01-20 2016-04-19 -0.1399 249 187 62
2016-08-16 2016-11-14 2017-12-12 -0.1395 340 65 275

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IXP
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2002 0.6 0.9 -0.6 0.1 0.0 1.3 0.0 0.0 4.1 1.0 0.0 0.0 7.8
2003 0.0 0.0 1.3 0.2 0.0 0.6 -0.6 0.0 1.4 0.0 2.2 0.0 5.2
2004 0.0 1.5 0.6 0.0 -0.4 -0.3 0.0 0.7 2.3 -0.2 2.0 0.0 6.3
2005 0.1 0.9 -0.6 0.0 -0.5 -0.1 1.0 0.8 0.0 -0.4 0.6 0.0 1.7
2006 0.0 1.4 0.0 0.5 1.6 0.0 -1.0 0.7 0.0 -1.1 -0.7 0.0 1.4
2007 0.4 -1.7 0.0 0.6 0.6 0.0 0.9 0.0 1.0 -2.7 0.0 0.0 -0.8
2008 0.2 0.0 2.6 1.1 0.0 -0.3 -1.1 0.0 -0.1 0.0 -5.9 0.0 -3.7
2009 0.0 0.0 3.4 1.8 0.6 1.0 0.0 -2.1 -2.2 0.0 2.1 0.0 4.5
2010 1.1 0.5 0.8 0.0 -0.5 1.3 0.0 2.2 1.1 -0.1 1.7 0.0 8.2
2011 1.3 -0.6 0.6 0.0 -1.5 0.9 0.3 -0.3 0.0 -2.1 -0.8 0.0 -2.3
2012 0.1 0.3 0.0 0.4 -1.0 0.0 0.2 0.0 -0.2 1.0 0.0 0.0 0.7
2013 1.1 -0.1 -0.1 -0.5 0.0 0.1 1.4 0.0 0.7 0.0 0.0 0.0 2.6
2014 0.0 0.0 0.3 0.2 0.0 0.9 -0.6 0.0 -1.2 0.0 -0.8 0.0 -1.3
2015 0.0 0.0 0.7 0.3 -0.8 0.4 0.0 -2.8 -0.6 0.0 0.5 0.0 -2.4
2016 1.2 2.0 -0.3 0.0 -0.5 0.4 -0.2 0.3 0.0 -0.6 -0.3 0.0 1.9
2017 -0.4 0.6 0.0 0.0 0.2 0.0 0.5 -0.6 0.0 0.0 -0.2 0.0 0.2
2018 0.4 -0.9 0.0 -0.6 0.5 0.0 -0.1 0.0 0.0 0.2 0.0 0.0 -0.5
2019 -0.3 0.4 1.4 -0.6 0.0 0.8 -0.6 0.0 -0.7 0.7 0.0 -0.1 0.9

Row

Rolling Performance Chart

Snail Trail Chart